The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …

Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases …, the quality of forecasts should improve. Yet, there is no consensus about a "true" or "best" measure of volatility. In … this paper we propose to jointly consider absolute daily returns, daily high-low range and daily realized volatility to …

We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as …

is presented in this paper and evaluated by means of a simulation and a real world example of volatility spillovers in …